Financial Engineering in R
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Documentation for package ‘FER’ version 0.94
Help Pages
| BachelierImpvol | Calculate Bachelier model implied volatility |
| BachelierPrice | Calculate Bachelier model option price |
| BlackScholesImpvol | Calculate Black-Scholes implied volatility |
| BlackScholesPrice | Calculate Black-Scholes option price |
| CevMassZero | Calculate the mass at zero under the CEV model |
| CevPrice | Calculate the constant elasticity of variance (CEV) model option price |
| Nsvh1Choi2019 | Calculate the option price under the NSVh model with lambda=1 (Choi et al. 2019) |
| SabrHagan2002 | Calculate the equivalent BS volatility (Hagan et al. 2002) for the Stochatic-Alpha-Beta-Rho (SABR) model |
| SpreadBachelier | Spread option under the Bachelier model |
| SpreadBjerksund2014 | Spread option pricing method by Bjerksund & Stensland (2014) |
| SpreadKirk | Kirk's approximation for spread option |
| SwitchMargrabe | Margrabe's formula for exhange option price |